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On the systematic and idiosyncratic volatility with large panel high-frequency data
16 references·2 citing·41 second hop
On the systematic and idiosyncratic volatility with large panel high-frequency data (2018)On the systematic and idiosyncratic volat…Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)Using principal component ana…Large-Dimensional Factor Modeling Based on High-Frequency Observations (2015)Large-Dimensional Factor Mode…Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data (2015)Incorporating Global Industri…Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (2012)Vast Volatility Matrix Estima…Vast volatility matrix estimation for high-frequency financial data (2010)Vast volatility matrix estima…Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2010)Pre-averaging estimators of t…Inference for Continuous Semimartingales Observed at High Frequency (2009)Inference for Continuous Semi…Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Adaptive robust large volatility matrix estimation based on high-frequency financial data (2023)Adaptive robust large volatil…Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (2017)Adaptive thresholding for lar…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Realized kernels in practice: trades and quotes (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)New Indexes of Coincident and Leading Economic Indicators (1989)Transition Modeling and Econometric Convergence Tests (2007)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)The Distribution of Realized Exchange Rate Volatility (2001)Realized Variance and Market Microstructure Noise (2006)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Risk measurement when shares are subject to infrequent trading (1979)Monte Carlo Methods in Financial Engineering (2003)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)
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References

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  • 2009Inference for Continuous Semimartingales Observed at High Frequency193 cited
  • 2012Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection155 cited
  • 2015Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data

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153 cited
  • 2010Vast volatility matrix estimation for high-frequency financial data134 cited
  • 2015Large-Dimensional Factor Modeling Based on High-Frequency Observations132 cited
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    • 2017Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data27 cited
    • 2023Adaptive robust large volatility matrix estimation based on high-frequency financial data25 cited